Mitigating the impact of a pandemic: a time-varying-parameter structural VAR (TVP-SVAR) and time-varying granger causality estimations

Olumide O. Olaoye, Mulatu F. Zerihun
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Abstract

Purpose The study investigates the effectiveness of government policies to mitigate the impact of a pandemic. The study adopts the small open economy of Nigeria for the following reasons. First, Nigeria is the largest economy in SSA. Second, Nigeria was also significantly impacted by the COVID-19 pandemic. Design/methodology/approach The study employed the time-varying structural autoregressive (TVSVAR) model to control for the potential asymmetry in fiscal variables and to control for the shift in the structural shift, following a macroeconomic shock. As a form of robustness, the study also implements the time-varying Granger causality to formally assess the temporal instability of the variable of interest. Findings The results show that an oil price shock is an important source of macroeconomic instability in Nigeria. Importantly, the results indicate that the effects of fiscal policy are strongly time varying. Specifically, the results show that fiscal policy helps to stabilize the economy, (i.e. they help to reduce inflation and spur output growth) following macroeconomic shock. Further, the Granger test shows that fiscal policy helped to spur growth in Nigeria. The research and policy implications are discussed. Originality/value The study accounts for the time-varying effects of fiscal policy.
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减轻大流行的影响:时变参数结构VAR (TVP-SVAR)和时变格兰杰因果关系估计
目的本研究旨在调查政府政策在减轻流行病影响方面的有效性。本研究采用尼日利亚的小型开放经济,原因如下。首先,尼日利亚是南撒哈拉地区最大的经济体。第二,尼日利亚也受到新冠肺炎疫情的严重影响。设计/方法/方法本研究采用时变结构自回归(TVSVAR)模型来控制财政变量的潜在不对称性,并控制宏观经济冲击后结构转变的转变。作为稳健性的一种形式,该研究还实现了时变格兰杰因果关系来正式评估感兴趣变量的时间不稳定性。研究结果表明,石油价格冲击是尼日利亚宏观经济不稳定的重要来源。重要的是,研究结果表明,财政政策的影响具有很强的时变性。具体而言,研究结果表明,财政政策有助于稳定宏观经济冲击后的经济(即有助于降低通胀和刺激产出增长)。此外,格兰杰检验表明,财政政策有助于刺激尼日利亚的增长。讨论了研究和政策意义。独创性/价值该研究考虑了财政政策的时变效应。
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来源期刊
CiteScore
3.20
自引率
7.70%
发文量
41
期刊介绍: African Journal of Economic and Management Studies (AJEMS) advances both theoretical and empirical research, informs policies and practices, and improves understanding of how economic and business decisions shape the lives of Africans. AJEMS is a multidisciplinary journal and welcomes papers from all the major disciplines in economics, business and management studies.
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